This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …

components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic …

models in a panel data context with partially unobserved targets and endogenous, time-varying persistence. In this setup, the …

simple simulation experiments. -- Dynamic discrete choice models ; initial conditions ; dynamic probit ; panel data …

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent …. -- dynamic panel data model with fixed effect ; incidental parameter problem ; consistency in estimation ; model selection …